Effective Measure of Endogeneity for the Autoregressive Conditional Duration point Processes via Mapping to the Self-Excited Hawkes Process
D. Sornette, V. Filimonov and S. Wheatley
Academic Publications
1. Jan. 2015
Dynamics of Innovation and Risks
J. Rochet, B. Biais and Paul Woolley
Academic Publications
1. Jan. 2015
Dynamical System Ttheory of Periodically Collapsing Bubbles
D. Sornette, V.I. Yukalov, and E.P. Yukalova
Academic Publications
1. Jan. 2015
Dynamical Signatures of Collective Quality Grading in a Social Activity: Attendance to Motion Pictures
D. Sornette, J. V. Escobar
Academic Publications
1. Jan. 2015
Dynamic Competitive Economies with Complete Markets and Collateral Constraints
F. Kübler, P. Gottardi
Academic Publications
1. Jan. 2015
Duality in Risk Aggregation, in Innovations in Quantitative Risk Management. Springer Proceedings in Mathematics & Statistics
P. Embrechts, R. Hauser and S. Shahverdyan, eds. K. Glau, M. Scherer and R. Zagst
Academic Publications
1. Jan. 2015
Double Chain Ladder, Claims Development Inflation and Zero Claims
M. Wüthrich, M.D. Martinez-Miranda, J. Nielsen, R. Verrall
Academic Publications
1. Jan. 2015
Do Public Real Estate Returns Really Lead Private Returns?
M. Hoesli, E. Oikarinen, and C. Serrano
Academic Publications
1. Jan. 2015
Do Prices Reveal the Presence of Informed Trading?
P. Collin-Dufresne, V. Fos
Academic Publications
1. Jan. 2015
Dividends and the Time of Ruin under Barrier Strategies with a Capital-Exchange Agreement
H. Albrecher, V. Lautscham
Academic Publications
1. Jan. 2015
Dividend Dynamics and the Term Structure of Dividends Strips
P. Collin-Dufresne, F. Belo and R. Goldstein
Academic Publications
1. Jan. 2015
Determinants of the Homeownership Rate: An International Perspective
M. Hoesli, S.C. Bourassa, D.R. Haurin, P.H. Hendershott
Academic Publications
1. Jan. 2015
Detecting Abnormal Trading Activities in Option Markets
L. Mancini, M. Chesney, R. Crameri
Academic Publications
1. Jan. 2015
Dealer Intermediation Between Markets
H. Hau, P. Dunne and M. Moore
Academic Publications
1. Jan. 2015
Credit Market Frictions and Capital Structure Dynamics
S. Malamud, E. Morellec, J. Hugonnier
Academic Publications
1. Jan. 2015